Volatility analysis on electricity price by wavelet analysis

被引：0

作者：

Zheng, Hua ^{[1
]}

Xie, Li ^{[1
]}

Zhang, Lizi ^{[1
]}

机构：

[1] N China Elect Power Univ Beijing, Beijing, Peoples R China

来源：

2008 THIRD INTERNATIONAL CONFERENCE ON ELECTRIC UTILITY DEREGULATION AND RESTRUCTURING AND POWER TECHNOLOGIES, VOLS 1-6 | 2008年

关键词：

electricity market; price volatility; wavelet transformation;

D O I：

暂无

中图分类号：

TE [石油、天然气工业]; TK [能源与动力工程];

学科分类号：

0807 ; 0820 ;

摘要：

In the electricity market, various market risks have been the main problems that the market participants have to face with and handle, including operational risk, credit analysis, price risk and so on. Among these risks, price risk is one of the basic problems according to the centratization location of electricity prices and their great influence on the benefits of the market participants. To solve this problem, our discussion and analysis of electricity price will almost focus on the volatility analysis, which is proposed by Wavelet Transformation in this paper. According to Wavelet Analysis, electricity price series is expanded to its wavelet series, which in different scales are orthogonal. And reconstruct price component series give a proper interpretation of the original price, by using which we identify price volatility and analyze on its mechanism. Finally the real data in New South Wales electricity market are applied to test the proposed model.

引用

页码：227 / 232

页数：6

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